BUG: Allow tz-aware Datetime SQL columns to be passed to parse_dates kwarg.

[cdcadman]

• closes #xxxx (Replace xxxx with the GitHub issue number)
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

This PR is related to existing tests which fail for me on the main branch, but they pass after making these changes.

FAILED pandas/tests/io/test_sql.py::TestPostgreSQLAlchemy::test_datetime_with_timezone - AssertionError: assert False
FAILED pandas/tests/io/test_sql.py::TestPostgreSQLAlchemyConn::test_datetime_with_timezone - AssertionError: assert False

Both tests fail here:

        # this is parsed on Travis (linux), but not on macosx for some reason
        # even with the same versions of psycopg2 & sqlalchemy, possibly a
        # Postgresql server version difference
        col = df.DateColWithTz
>       assert is_datetime64tz_dtype(col.dtype)
E       AssertionError: assert False
E        +  where False = is_datetime64tz_dtype(dtype('O'))
E        +    where dtype('O') = 0    2000-01-01 00:00:00-08:00\n1    2000-06-01 00:00:00-07:00\nName: DateColWithTz, dtype: object.dtype

pandas\tests\io\test_sql.py:1794: AssertionError

[mroeschke]

Hmm this test has been passing on our CI with postgres, and from #11216 it was an intentional choice to test read_sql_query instead of read_sql_table

[cdcadman]

Which platforms is it being tested on? I'm working on Windows, and it could be that something about my setup is preventing the timezone information from getting into the pandas DataFrame. I could try switching to Ubuntu.

[mroeschke]

Ah that could be it. This SQL test runs on Ubuntu + Postgres. (GIthub Actions only supports containers, i.e. postgres image, with Ubuntu)

[cdcadman]

It turns out that the test failure was due to the postgres database timezone setting, not the platform. To get it to pass on either Windows or Ubuntu, I needed to change the database timezone to UTC. If there is an issue to be addressed when the timezone is not UTC, I'm not sure how best to handle it, so I will stop working on this PR.

[cdcadman]

I will set the Postresql timezone to UTC so that these tests can pass.